Due to its cytotoxic effect in lymphoid cells, dexamethasone is widely used in the treatment of multiple myeloma (MM). However, only a subset of myeloma patients responds to high-dose dexamethasone. Despite the undeniable anti-myeloma benefits of dexamethasone, significant adverse effects have been reported. We re-evaluate the anti-tumor effect of dexamethasone according to the molecular heterogeneity of MM. We demonstrated that the pro-death effect of dexamethasone is related to the genetic heterogeneity of MM because sensitive cell lines were restricted to MAF and MMSET signature subgroups, whereas all CCND1 cell lines (n = 10) were resistant to dexamethasone. We demonstrated that the glucocorticoid receptor expression was an important limiting factor for dexamethasone-induced cell death and we found a correlation between glucocorticoid receptor levels and the induction of glucocorticoid-induced leucine zipper (GILZ) under dexamethasone treatment. By silencing GILZ, we next demonstrated that GILZ is necessary for Dex induced apoptosis while triggering an imbalance between anti- and pro-apoptotic Bcl-2 proteins. Finally, the heterogeneity of the dexamethasone response was further confirmed in vivo using myeloma xenograft models. Our findings suggested that the effect of dexamethasone should be re-evaluated within molecular subgroups of myeloma patients to improve its efficacy and reduce its adverse effects.